Inference for an anisotropic diffusion model

David Eaves

Journal of Multivariate Analysis, 1976, vol. 6, issue 1, 65-80

Abstract: The vector sum of a white noise in an unknown hyperspace and an Ornstein-Uhlenbeck process in an unknown line is observed through sharp linear test functions over a finite time span. The parameters associated with the white noise (including the hyperplane) are determinable with precision and index the measure-equivalence classes in the relevant sample space. An intraclass relative density provides a basis for Bayesian inference of the remaining parameters.

Keywords: Diffusion; White; noise; Ornstein-Uhlenbeck; Equivalence; classes; Bayesian (search for similar items in EconPapers)
Date: 1976
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